Ask an Expert

Discussion in 'Technical Analysis' started by ZAL, Jun 12, 2008.

  1. ZAL


    From Wikipedia:

    An "expert" is someone widely recognized as a reliable source of technique or skill whose faculty for judging or deciding rightly, justly, or wisely is accorded authority and status by their peers or the public. An expert, more generally, is a person with extensive knowledge or ability in a particular area of study. Experts are called in for advice on their respective subject, but they do not always agree on the particulars of a field of study. An expert can be, by virtue of training, education, profession, publication or experience, believed to have special knowledge of a subject beyond that of the average person, sufficient that others may officially (and legally) rely upon the individual's opinion. Historically, an expert was referred to as a sage. The individual was usually a profound philosopher distinguished for wisdom and sound judgment.


    I'd like to start a Thread for ET Members to ask questions about Futures Trading. Questions will be answered by me AND any ET member.

    Please keep the questions limited to Futures Markets only. I'll only answer questions directed to the Futures Markets. And please, can we all try to be professional, polite and civil? Thanks.

    I'll begin by offering the first question:

    What market is more fair to trade: FOREX or CME Currency Futures?
  2. CME Currency Futures because it's a regulated market; the counterparty of your trades is not your retail broker as in Forex market at least at retail level, who controls the spreads according you are long or short (well, sometimes), the latency (yes, some bucket shops can manipulate it), that put you in 'manual mode' if you are quicker than their dealers while they try to hedge the position, and other kind of gimmicks...also on CME the players have better access to the traded volume.
  3. ZAL


    You are correct, sir. Any market where the bid/offer spread can be manipulated by the firm providing the bid/offer spread is one you should stay away from.
  4. How does your system handle the rollover?

    I sometimes find that I am short of levels when the front month contract changes.

    For example, if I have just started trading the sep tnote, but volume data is sparse, could I just use the june levels adjusted for the spread?
  5. ZAL


    Sep. became the front month in the Treasury complex two weeks ago. Most, if not all, front month market participants have switched to Sep 8 or 9 trading days ago.

    I would not use the June levels adjusted for the spread as you will typically be off (+/-) 1/2 tic on your math. You should check with your data/front end provider as it appears there is something wrong with your live data feed.

    All of the volume and Open Interest is already in the Sep contract.

  6. Hello,
    I'll try rephrasing my question as perhaps I didn't make myself very clear.
    When the front month changes, for the first week, I find that historic volume levels in the new contract are sparse, therefore I cannot look back to previous days to get support and resistance levels for the new contract.

    For example, let's say that the sep tnote just become the front month yesterday. Today it sells off one point, to a level that we were previously at 2 weeks ago. If I look back at the sep profiles then they are sparsely populated and show very low volume levels. Therefore they are of little use.

    So what do you do? How do you find levels for the first week when the top step contract changes?

    Also, how do you deal with the rollover in the longer term profiles? Do you just change with the front month and ignore the discontinuity?
  7. ZAL


    We don't have this issue with our TradeMAven Software. All contract market tic, volume and Market Profile data (all months) are saved historically on our servers. The role from one month to the next is seemless to our users.

  8. Well that's great. But as an "expert" on Market Profile, can you tell me how your system makes the rollover seamless?
    It's a simple question. How does your system make sense of the rollover?
  9. ZAL


    On the the role (two weeks ago) I switched my screens to Sep The software automatically calculates the spread differential and my split profiles looked the same as they did with the Jun.

    The only difference on the day that I switched to Sep was that Sep prices were 20 1/2 tics lower than Jun. But my profiles looked the same.

    I don't know how I can answer your question in more detail except to say that the software takes care of it for you. You don't have to do anything.
  10. Thank you!

    And what about the situation when the bots and algos account manipulate the real bid/ask spread since they lift or hit their own bid/ask limit orders or pulling the limit orders as soon as a leg of a spread is being filled?...You think you can leave your orders on the book but then you often discover that you are the only stupid to do so. All in all the real liquidity is not what you can see but all those iceberg orders that may or may not be elected.
    #10     Jun 20, 2008